Correcting the errors: Volatility forecast evaluation using high-frequency data and realized volatilities

We develop general model-free adjustment procedures for the calculation of unbiased volatility loss functions based on practically feasible realized volatility benchmarks. The procedures, which exploit recent nonparametric asymptotic distributional results, are both easy-to-implement and highly accurate in empirically realistic situations. We also illustrate that properly accounting for the measurement errors in the volatility forecast evaluations reported in the existing literature can result in markedly higher estimates for the true degree of return volatility predictability.

Anti-cholinergic load, health care utilization, and survival in people with advanced cancer: a pilot study.

INTRODUCTION: Anti-cholinergic medications have been associated with increased risks of cognitive impairment, premature mortality and increased risk of hospitalisation. Anti-cholinergic load associated with medication increases as death approaches in those with advanced cancer, yet little is known about associated adverse outcomes in this setting. METHODS: A substudy of 112 participants in a randomised control trial who had cancer and an Australia modified Karnofsky Performance Scale (AKPS) score (AKPS) of 60 or above, explored survival and health service utilisation; with anti-cholinergic load calculated using the Clinician Rated Anti-cholinergic Scale (modified version) longitudinally to death. A standardised starting point for prospectively calculating survival was an AKPS of 60 or above. RESULTS: Baseline entry to the sub-study was a mean 62 +/- 81 days (median 37, range 1-588) days before death (survival), with mean of 4.8 (median 3, SD 4.18, range 1 - 24) study assessments in this time period. Participants spent 22% of time as an inpatient. There was no significant association between anti-cholinergic score and time spent as an inpatient (adjusted for survival time) (p = 0.94); or survival time. DISCUSSION: No association between anti-cholinergic load and survival or time spent as an inpatient was seen. Future studies need to include cognitively impaired populations where the risks of symptomatic deterioration may be more substantial.

Can exchange rates forecast commodity prices?

We show that "commodity currency" exchange rates have surprisingly robust power in predicting global commodity prices, both in-sample and out-of-sample, and against a variety of alternative benchmarks. This result is of particular interest to policy makers, given the lack of deep forward markets in many individual commodities, and broad aggregate commodity indices in particular. We also explore the reverse relationship (commodity prices forecasting exchange rates) but find it to be notably less robust. We offer a theoretical resolution, based on the fact that exchange rates are strongly forward-looking, whereas commodity price fluctuations are typically more sensitive to short-term demand imbalances. © 2010 by the President and Fellows of Harvard College and the Massachusetts Institute of Technology.

A COMPARISON OF MARKET CLEARING TOOLS IN ELECTRICITY SYSTEMS

To maintain a strict balance between demand and supply in the US power systems, the Independent System Operators (ISOs) schedule power plants and determine electricity prices using a market clearing model. This model determines for each time period and power plant, the times of startup, shutdown, the amount of power production, and the provisioning of spinning and non-spinning power generation reserves, etc. Such a deterministic optimization model takes as input the characteristics of all the generating units such as their power generation installed capacity, ramp rates, minimum up and down time requirements, and marginal costs for production, as well as the forecast of intermittent energy such as wind and solar, along with the minimum reserve requirement of the whole system. This reserve requirement is determined based on the likelihood of outages on the supply side and on the levels of error forecasts in demand and intermittent generation. With increased installed capacity of intermittent renewable energy, determining the appropriate level of reserve requirements has become harder. Stochastic market clearing models have been proposed as an alternative to deterministic market clearing models. Rather than using a fixed reserve targets as an input, stochastic market clearing models take different scenarios of wind power into consideration and determine reserves schedule as output. Using a scaled version of the power generation system of PJM, a regional transmission organization (RTO) that coordinates the movement of wholesale electricity in all or parts of 13 states and the District of Columbia, and wind scenarios generated from BPA (Bonneville Power Administration) data, this paper explores a comparison of the performance between a stochastic and deterministic model in market clearing. The two models are compared in their ability to contribute to the affordability, reliability and sustainability of the electricity system, measured in terms of total operational costs, load shedding and air emissions. The process of building the models and running for tests indicate that a fair comparison is difficult to obtain due to the multi-dimensional performance metrics considered here, and the difficulty in setting up the parameters of the models in a way that does not advantage or disadvantage one modeling framework. Along these lines, this study explores the effect that model assumptions such as reserve requirements, value of lost load (VOLL) and wind spillage costs have on the comparison of the performance of stochastic vs deterministic market clearing models.